| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 531.49% |
| CAGR﹪ | 11.13% | 9.57% |
| Sharpe | 0.77 | 0.91 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.71 | 0.83 |
| Sortino | 1.18 | 1.54 |
| Smart Sortino | 1.08 | 1.4 |
| Sortino/√2 | 0.84 | 1.09 |
| Smart Sortino/√2 | 0.76 | 0.99 |
| Omega | 1.77 | 1.93 |
| Max Drawdown | -50.78% | -24.34% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-07-31 |
| Longest DD Days | 1553 | 913 |
| Volatility (ann.) | 15.22% | 10.75% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.22 | 0.39 |
| Skew | -0.56 | -0.19 |
| Kurtosis | 1.09 | 0.14 |
| Ulcer Performance Index | 60.76 | 78.91 |
| Risk-Adjusted Return | 817.9% | 581.46% |
| Risk-Return Ratio | 0.22 | 0.26 |
| Avg. Return | 0.98% | 0.82% |
| Avg. Win | 3.61% | 2.84% |
| Avg. Loss | -4.34% | -2.94% |
| Win/Loss Ratio | 0.83 | 0.97 |
| Profit Ratio | 0.43 | 0.68 |
| Expected Daily | 0.88% | 0.76% |
| Expected Monthly | 0.88% | 0.76% |
| Expected Yearly | 10.67% | 9.17% |
| Kelly Criterion | 26.92% | 24.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -4.29% |
| Expected Shortfall (cVaR) | -8.99% | -6.05% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.77 | 0.93 |
| Gain/Pain (1M) | 0.77 | 0.93 |
| Payoff Ratio | 0.83 | 0.97 |
| Profit Factor | 1.77 | 1.93 |
| Common Sense Ratio | 1.89 | 2.43 |
| CPC Index | 0.98 | 1.17 |
| Tail Ratio | 1.07 | 1.26 |
| Outlier Win Ratio | 3.19 | 2.95 |
| Outlier Loss Ratio | 2.65 | 2.81 |
| MTD | -1.05% | 0.2% |
| 3M | 13.91% | 4.17% |
| 6M | 8.94% | 6.47% |
| YTD | 8.94% | 6.47% |
| 1Y | 20.92% | 21.2% |
| 3Y (ann.) | 18.77% | 18.35% |
| 5Y (ann.) | 12.51% | 7.97% |
| 10Y (ann.) | 15.13% | 7.78% |
| All-time (ann.) | 11.13% | 9.57% |
| Best Day | 12.7% | 9.93% |
| Worst Day | -16.52% | -9.44% |
| Best Month | 12.7% | 9.93% |
| Worst Month | -16.52% | -9.44% |
| Best Year | 32.31% | 26.9% |
| Worst Year | -36.79% | -22.18% |
| Avg. Drawdown | -6.45% | -5.06% |
| Avg. Drawdown Days | 110 | 127 |
| Recovery Factor | 4.67 | 8.08 |
| Ulcer Index | 0.12 | 0.07 |
| Serenity Index | 2.58 | 4.88 |
| Avg. Up Month | 3.61% | 2.84% |
| Avg. Down Month | -4.34% | -2.94% |
| Win Days | 66.8% | 62.81% |
| Win Month | 66.8% | 62.81% |
| Win Quarter | 74.39% | 74.39% |
| Win Year | 85.71% | 90.48% |
| Beta | - | 0.41 |
| Alpha | - | 0.05 |
| Correlation | - | 57.86% |
| Treynor Ratio | - | 1300.54% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 12.11 | 0.96 | - |
| 2007 | 5.15 | 8.57 | 1.67 | + |
| 2008 | -36.79 | 10.67 | -0.29 | + |
| 2009 | 26.35 | 8.08 | 0.31 | - |
| 2010 | 15.06 | 25.13 | 1.67 | + |
| 2011 | 1.89 | 3.48 | 1.83 | + |
| 2012 | 15.99 | 9.57 | 0.60 | - |
| 2013 | 32.31 | 5.93 | 0.18 | - |
| 2014 | 13.46 | 23.98 | 1.78 | + |
| 2015 | 1.23 | 1.36 | 1.10 | + |
| 2016 | 12.00 | 5.56 | 0.46 | - |
| 2017 | 21.71 | 11.98 | 0.55 | - |
| 2018 | -4.57 | -8.02 | 1.76 | - |
| 2019 | 31.22 | 22.60 | 0.72 | - |
| 2020 | 18.33 | 3.67 | 0.20 | - |
| 2021 | 28.73 | 20.92 | 0.73 | - |
| 2022 | -18.18 | -22.18 | 1.22 | - |
| 2023 | 26.18 | 9.94 | 0.38 | - |
| 2024 | 24.89 | 18.90 | 0.76 | - |
| 2025 | 17.72 | 26.90 | 1.52 | + |
| 2026 | 8.94 | 6.47 | 0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-07-31 | -24.34 | 913 |
| 2009-01-31 | 2009-10-31 | -12.13 | 274 |
| 2008-03-31 | 2008-11-30 | -11.56 | 245 |
| 2011-09-30 | 2012-02-29 | -9.44 | 153 |
| 2020-02-29 | 2020-07-31 | -8.43 | 154 |
| 2018-01-31 | 2019-05-31 | -8.02 | 486 |
| 2013-05-31 | 2014-01-31 | -7.96 | 246 |
| 2015-02-28 | 2016-03-31 | -7.79 | 398 |
| 2007-06-30 | 2007-09-30 | -7.54 | 93 |
| 2026-03-31 | 2026-07-31 | -7.36 | 123 |